As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

Markov processes form a fundamental class of stochastic models in which the evolution of a system is delineated by the memoryless property. In such processes, the future state depends solely on the ...